On high-order schemes for tempered fractional partial differential equations

In this paper, we propose third-order semi-discretized schemes in space based on the tempered weighted and shifted Grunwald difference (tempered-WSGD) operators for fractional diffusion equation. We also show stability convergence analysis fully discrete scheme a Crank–Nicolson time. A Black–Scholes equation is proposed tested numerically. Some numerical experiments are carried out to confirm accuracy effectiveness of these methods.